Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

DOI10.1214/13-AOS1121zbMATH Open1292.62124arXiv1308.2830OpenAlexW2139945143MaRDI QIDQ367001FDOQ367001

Authors: Hiroki Masuda 

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a L'{e}vy driven stochastic differential equation whose coefficients are known except for the finite-dimensional parameters to be estimated, where the diffusion coefficient may be degenerate or even null. We suppose that the process is discretely observed under the rapidly increasing experimental design with step size $h_n$. By means of the polynomial-type large deviation inequality, convergence of the corresponding statistical random fields is derived in a mighty mode, which especially leads to the asymptotic normality at rate $sqrtn{h}_n$ for all the target parameters, and also to the convergence of their moments. As our Gaussian quasi-likelihood solely looks at the local-mean and local-covariance structures, efficiency loss would be large in some instances. Nevertheless, it has the practically important advantages: first, the computation of estimates does not require any fine tuning, and hence it is straightforward; second, the estimation procedure can be adopted without full specification of the L'{e}vy measure.

Full work available at URL: https://arxiv.org/abs/1308.2830

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zbMATH Keywords

exponential ergodicityGaussian quasi-likelihood estimationhigh-frequency samplingpolynomial-type large deviation inequalityLévy driven stochastic differential equation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Random fields; image analysis (62M40)

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Cited In (26)

• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Data driven time scale in Gaussian quasi-likelihood inference
• Hybrid estimators for stochastic differential equations from reduced data
• Two-step estimation of ergodic Lévy driven SDE
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Quasi-likelihood analysis and its applications
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• Noise inference for ergodic Lévy driven SDE
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
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